i ABSTRAK
Dalam dunia investasi, investor cenderung memilih saham yang memberikan return yang tinggi. Return saham yang berfluktuasi menunjukkan bahwa investor
perlu menganalisis kinerja pasar saham sebelum menginvestasikan dananya. Right
issue merupakan salah satu aksi korporasi yang diduga memberikan pengaruh pada return saham perusahaan. Penelitian ini bertujuan untuk mempelajari: 1) Gambaran
pelaksanaan right issue dan return saham pada sub sektor properti dan real estate, 2)
kondisi rata-rata return saham sebelum dan setelah perusahaan mengumumkan right
issue, dan 3) apakah terdapat pengaruh right issue terhadap return saham perusahaan. Sampel penelitian ini yaitu 16 perusahaan pada sektor property dan real estate
yang melakukan right issue di Bursa Efek Indonesia periode 2005-2011. Data
sekunder dianalisis dengan menggunakan analisis statistik Paired Sample T Test for
Means, Regresi Linear Sederhana, Korelasi Pearson, dan Koefisien Determinasi. Hasil analisis akan diuji menggunakan uji hipotesis.
Hasil penelitian menunjukkan bahwa pelaksanaan right issue yang dilakukan
oleh perusahaan pada sub sektor properti dan real estate tidak menyebabkan
perbedaan antara rata-rata return saham sebelum dan rata-rata return saham setelah
mengumumkan right issue. Namun, hasil analisis menunjukkan bahwa terdapat
pengaruh right issue terhadap return saham yang signifikan dengan kuatnya pengaruh
sebesar 77,3%. Akan tetapi, antara right issue dan return saham memiliki hubungan
yang tidak searah dengan keeratan hubungan sebesar -0,879. Secara empiris,
penelitian ini membuktikan bahwa right issue memberikan pengaruh negatif terhadap
return saham perusahaan.
ii ABSTRACT
In the world of investment, investors tend to choose stocks that provide high return. Fluctuating stock returns suggest that investors need to analyze the performance of the stock market before investing funds. Right issue is one of corporate a ctions that thought to give effect to the stock returns of the company. This research has a purpose to learn: 1) The description of the implementation right issue and stock return on sub sector of property and real estate, 2) Condition average stock returns before and after the company announced a rights issue, and 3) whether there is influence of rights issue against stock return of the company.
The samples of this research consist of 16 companies on sub sector of property and real estate that do the right issue in the Indonesian Stock Exchange period 2005-2011. The secondary data was ana lyzed by using the analysis of
statistics Paired Sample T Test for Means, Simple Linear Regression, Pearson
Correlation and the Coefficient of Determination. The analysis would be tested using hypothesis test.
The results show that the implementation of the rights issue conducted by the company in the sub-sector of real estate property and does not cause the difference between the a verage stock returns before and the a verage return of the stock after announcing a rights issue. However, the analysis shows that there is influence between right issues to stock return significant with strong influence of 77.3%. But, the right issue and stock returns has not direct relationship with the relationship of -0.879. Empirically, this study proves that the right issues negatively influence to stock return of the company.
